— And yet I never thought that São Paulo was ugly: it was a‘wild’ town, as are all American towns, with the possible exception of Washington, D.C., [...] — 1973, John & Doreen Weightman (trans.), Tristes Tropiques, 2011 ed., Penguin Books, ISBN 978-0-14-197073-8

Only the third meaning of the masculine proper noun "São Paulo" — the football team — is refered to by articles. The other meanings of the phrase (feminine for the city and masculine for the state and the historical person) are articleless, and its gender is only demonstrated in adjectives. Therefore the phrase "o São Paulo" is only permissible when one means to refer to the football team with that name and "a São Paulo" does not exist.